That all depends on which relay you are looking for, there are relays located under the hood in a fusebox there. There are a couple relays located under the dash, and a second fusebox located on the drivers side under the dash.

The relay switch has to do with the transmission. If the Jeep Cherokee is a manual transmission then it should be right under the clutch. If the Jeep Cherokee is an automatic transmission the relay switch may be built into the shifter and you may need a manual for that vehicle to find it.